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Title: An investigation of cointegration and casualty relationships between the PIIGS’ stock markets
Authors: Christopoulos, Apostolos G.
Papathanasiou, Spyros
Kalantonis, Petros
Chouliaras, Andreas
Katsikides, Savvas
Keywords: Stock exchanges -- Greece
Stock exchanges -- Portugal
Stock exchanges -- Italy
Stock exchanges -- Ireland
Stock exchanges -- Spain
Efficient market theory
Cointegration -- Europe
Financial crises -- Europe
Issue Date: 2014
Publisher: University of Piraeus. International Strategic Management Association
Citation: Christopoulos, A. G., Papathanasiou, S., Kalantonis, P., Chouliaras, A., & Katsikides, S. (2014). An investigation of cointegration and casualty relationships between the PIIGS’ stock markets. European Research Studies Journal, 17(2), 109-123.
Abstract: The aim of this paper is to investigate the relationship of price changes in the southern European E.U. member states through their stock markets and especially among the exchange markets of Portugal, Italy, Ireland, Greece and Spain, known also as the PIIGS countries. More specifically, it is examined whether cointegration and causality relationships exists among the PIIGS’ Stock Markets while by testing these relationships the existence of the Efficient Market Hypothesis (EMH) among these stock markets is also tested. In case of cointegration relationships between these markets it is proved that possible advantages by internationalizing portfolio diversification are limited and further attention must be given for the selection of an internationalized optimal portfolio. It is also wealth mentioning that since 2012 Europe faces a serious economic crisis which is deeper in the member states of the South, so even further attention must be given to the construction of optimal portfolios.
Appears in Collections:European Research Studies Journal, Volume 17, Issue 2

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